The Application of Discriminant Analysis in Forecasting of Investors' Reaction to Macroeconomic News Announcements
Macroeconomic news announcements, particularly concerning the U.S. economy, have a significant impact on stock markets. Recent studies show that stock prices react significantly as soon as macroeconomic news is announced. However, the strength of the reaction and its duration depends on the market and on the news announced. In this paper, we study the applicability of discriminant analysis in the prediction of direction of changes of the main indices of stock exchanges in Warsaw and Vienna after release of the Employment Report by the U.S. Bureau of Labor Statistics. (original abstract)
- Andersen T., Bollerslev T., Diebold F., Vega C. (2007) Real-time price discovery in global stock, bond and foreign exchange markets, Journal of International Economics, vol. 73, pp. 251-277.
- Będowska-Sójka B. (2010) Intraday CAC40, DAX and WIG20 returns when the American macro news is announced, Bank i Kredyt, vol. 41(2), pp. 7-20.
- Dimpfl T. (2011) The impact of US news to the German stock market - an event study analysis, The Quarterly Review of Economics and Finance, vol. 51, pp. 389-398.
- Gurgul H., Suliga M., Wójtowicz T. (2012) Responses of the Warsaw Stock Exchange to the U.S. Macroeconomic Data Announcement, Managerial Economics, vol. 12, pp. 41-60.
- Gurgul H., Suliga M., Wójtowicz T. (2013) The reaction of intraday WIG returns to the U.S. macroeconomic news announcements, Quantitative Methods in Economics, vol. XIV, pp. 150-159.
- Gurgul H., Wójtowicz T. (2014) The impact of US macroeconomic news on the Polish stock market. The importance of company size to information flow, Central European Journal of Operations Research, [DOI 10.1007/s10100-014-0343-x].
- Harju K., Hussain S. (2011) Intraday seasonalities and macroeconomic news announcements, European Financial Management, vol. 17, pp. 367-390.
- Nikkinen J., Sahlström P. (2004) Scheduled Domestic and US Macroeconomic News and Stock Valuation in Europe, Journal of Multinational Financial Management, vol. 14, pp. 201-245.
- Nikkinen J., Omran M., Sahlström M., Äijö A. (2006) Global stock market reactions to scheduled U.S. macroeconomic news announcements, Global Finance Journal, vol. 17(1), pp. 92-104.
- Suliga M., Wójtowicz T. (2013) The reaction of the WSE to U.S. employment news announcements, Managerial Economics, vol. 14, pp. 39-60.